KySwing - Swing Contract Optimization Software
KySwing helps to generate most income from gas contracts by optimizing the swing contract flexibility. Reduce your risk on future income by forward hedging. The model applies advanced stochastics to find the optimal exercise. Swing options are typical components of gas contracts, which offer the opportunity to vary the contracted volume under a number of restrictions. They are also known as Take-or-Pay (ToP), interruptible and variable load contracts.
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Benefits
- The optimal exercise of swing contracts
- Delta positions of swing contracts
- The best trading decision for a swing contract
Outputs swing contract valuation
KySwing calculates the value of swing contracts:
- Distribution of cash flows
- Distribution of contract values
- Distribution of off-take levels
The model supports day-to-day trading decisions. It advises on optimal exercise strategies, analyses the risk profile and adds value through asset based forward trading.
Least Squares Monte Carlo for a swing contract
The swing valuation software is based on advanced simulation techniques. Important characteristics are a mean-reverting multi-factor model with long-term, short-term and seasonal dynamics. Optimal trading decisions are calculated by applying Least Squares Monte Carlo techniques. Volatility term structure and other simulation inputs are easily derived from historical data with the accompanying calibration tool. By applying cointegration, realistic spreads between oil and gas prices are generated.
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